Quantitative Finance Analyst

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Job Description:
This job is responsible for conducting quantitative analytics and modeling projects for specific business units or risk types. Key responsibilities include developing new models, analytic processes, or systems approaches, creating technical documentation for related activities, and working with Technology staff in the design of systems to run models developed. Job expectations include having a broad knowledge of financial markets and products.

Responsibilities:

• Performs end-to-end market risk stress testing including scenario design, scenario implementation, results consolidation, internal and external reporting, and analyzes stress scenario results to better understand key drivers

• Supports the planning related to setting quantitative work priorities in line with the bank’s overall strategy and prioritization

• Identifies continuous improvements through reviews of approval decisions on relevant model development or model validation tasks, critical feedback on technical documentation, and effective challenges on model development/validation

• Supports model development and model risk management in respective focus areas to support business requirements and the enterprise's risk appetite

• Supports the methodological, analytical, and technical guidance to effectively challenge and influence the strategic direction and tactical approaches of development/validation projects and identify areas of potential risk

• Works closely with model stakeholders and senior management with regard to communication of submission and validation outcomes

• Performs statistical analysis on large datasets and interprets results using both qualitative and quantitative approaches

Skills:

• Critical Thinking

• Quantitative Development

• Risk Analytics

• Risk Modeling

• Technical Documentation

• Adaptability

• Collaboration

• Problem Solving

• Risk Management

• Test Engineering

• Data Modeling

• Data and Trend Analysis

• Process Performance Measurement

• Research

• Written Communications

Required Qualifications:

• Working knowledge of risk or pricing models for fixed income or commodity products

• Understanding of regulatory capital and risk management framework and stress testing requirement

• Solid working experience in a related field (Market Risk, Middle Office)

• Broad financial product knowledge

• Proven programming skills (Python, C , SQL, or equivalent object-oriented programming) to write reusable and testable code to develop tools and improve process efficiency for reporting and calculation automation

• Experience in data analysis, with excellent research and analytical skills

• Pro-active behavior with capacity to seize initiative

• Good written and oral communication, interpersonal and organizational skills and ability to build and maintain relationships with personnel across areas and regions

• Ability to multitask with excellent time management skills

Desired Qualifications:

• Past experience in Interbank Offering Rate (IBOR) transition / Fundamental Review of the Trading Book (FRTB) is a plus

Minimum Education Requirement: Master’s degree in related field or equivalent work experience